Just finished reading this today. I enjoyed The Subtle Knife more than The Golden Compass. I think primarily because the characters in The Subtle Knife make mistakes. They seem more human. Things seemed way too convenient in The Golden Compass...everything just fell into place, with the occasional minor diversion, which usually ended up fitting neatly into the plot anyway (such as Lyra falling out of Lee Scoresby's balloon and getting captured by the bears).
Another thing that I enjoyed about the The Subtle Knife was that it got more into the specifics of Dust (Shadows, dark matter, what ever). I think subconsciously I found Lyra somewhat annoying, and it was nice to learn more about the plot and how all the various characters fit into everything. The addition of Will was particularly interesting. He's almost like a male version of Lyra--I actually suspected that Lord Asriel might be the father of both of them, except in different worlds. Of course, now that I know that isn't the case, I'm leaning more toward an Adam and Eve connection. Overall, I felt that The Subtle Knife seemed to really dig into the religious and political ideas that Pullman laid the groundwork for in The Golden Compass, which focused much more on Lyra as a character, and emphasized her importance in this mysterious grand scheme.
I don't know why I can't seem to assemble any coherent thoughts about this trilogy so far. All I know is that I'm enjoying the story!